Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1782 |
| Annualized Std Dev | 0.2943 |
| Annualized Sharpe (Rf=0%) | -0.6053 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3243.0000 |
| NAs | 1.0000 |
| Minimum | -0.1295 |
| Quartile 1 | -0.0114 |
| Median | -0.0013 |
| Arithmetic Mean | -0.0006 |
| Geometric Mean | -0.0008 |
| Quartile 3 | 0.0105 |
| Maximum | 0.1288 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0012 |
| UCL Mean (0.95) | 0.0000 |
| Variance | 0.0003 |
| Stdev | 0.0185 |
| Skewness | -0.1004 |
| Kurtosis | 3.2880 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0131 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0124 |
| Downside Deviation (MAR=210%) | 0.0185 |
| Downside Deviation (Rf=0%) | 0.0135 |
| Downside Deviation (0%) | 0.0135 |
| Maximum Drawdown | 0.9517 |
| Historical VaR (95%) | -0.0289 |
| Historical ES (95%) | -0.0419 |
| Modified VaR (95%) | -0.0304 |
| Modified ES (95%) | -0.0468 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-16 | 2020-08-04 | NA | -0.9517 | 3214 | 3056 | NA |
| 2008-05-30 | 2008-06-03 | 2008-06-12 | -0.0364 | 10 | 3 | 7 |
| 2008-05-07 | 2008-05-09 | 2008-05-28 | -0.0362 | 15 | 3 | 12 |
| 2008-05-05 | 2008-05-05 | 2008-05-06 | -0.0001 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | -1.2 | 0.9 | -0.2 | 0.9 | -2.2 | 2.1 | -6.9 | 5.2 | -1.8 |
| 2009 | 0 | 1.2 | -1.9 | 1.8 | 5.5 | 0.3 | -3.5 | 0.5 | -2.8 | -2.9 | 2.3 | 0.8 | 0.9 |
| 2010 | 1.5 | -0.1 | 0.5 | -2.3 | -1.7 | -0.3 | -3 | 4 | 0.9 | 0.7 | 4.2 | -2.1 | 1.9 |
| 2011 | 0.9 | -0.6 | -0.9 | -0.6 | -2.8 | 0.3 | -2.1 | -3.9 | -4.8 | -6.7 | 0.9 | -0.6 | -19.2 |
| 2012 | 2.2 | 1.9 | 3.3 | 1 | -4.6 | 2.6 | 0.9 | -2.7 | -0.8 | 1.2 | 0.5 | 3.6 | 9 |
| 2013 | 2.5 | -0.9 | -1.4 | -2.1 | 0.7 | -0.3 | 3.8 | 0.2 | 0.5 | 2 | -0.2 | 1.1 | 5.8 |
| 2014 | -1.2 | -0.2 | 1.8 | -2 | 0.1 | 1.7 | -1.5 | -0.1 | -3.9 | 0.5 | 1.1 | -0.6 | -4.3 |
| 2015 | -3.5 | -1.7 | -2.6 | 2.8 | 2 | 2.8 | -1.6 | -1.3 | -0.9 | -1.3 | -2.5 | -0.9 | -8.6 |
| 2016 | 0.6 | 3.2 | -0.7 | -0.6 | -0.7 | -2.9 | 2 | -0.3 | 1.7 | 0.1 | 1.9 | -0.4 | 3.8 |
| 2017 | 1.1 | 3.5 | -0.7 | 1.6 | 0.1 | 0.5 | -1.5 | 1.6 | -0.4 | -0.9 | -2.7 | -0.3 | 1.8 |
| 2018 | 3 | -1.4 | -1.1 | 0.7 | 1.1 | 0.7 | 1.6 | 0.4 | 1.4 | -0.2 | -0.8 | -0.7 | 4.7 |
| 2019 | 1.2 | 1.9 | 2.9 | -0.9 | -2.5 | 0.4 | -3.8 | 0 | -0.7 | 0.6 | 0.3 | 1.9 | 1.2 |
| 2020 | -1.7 | -4.5 | -2.2 | -1.3 | 1.1 | 0.3 | 0.1 | -2.4 | -0.3 | 1.8 | 2.8 | -0.3 | -6.6 |
| 2021 | -0.1 | 3.1 | -1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
